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Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from China's stock market

Yuan Ping and Rui Li

Finance Research Letters, 2018, vol. 25, issue C, 222-229

Abstract: In this paper, the TTSRV (truncated two-scale realized volatility estimator), a novel estimator of the continuous part of realized volatility (RV), is used to forecast the RV of the SSEC index. Based on the classic heterogeneous autoregressive model for RV (HAR-RV), our new model, which applies the TTSRV, can describe the continuous and jump processes of RV with higher accuracy. The empirical results obtained by this study suggest that the TTSRV outperforms previous models in both statistical and economic aspects.

Keywords: Realized volatility; Truncated two-scale; Forecast (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:25:y:2018:i:c:p:222-229

DOI: 10.1016/j.frl.2017.10.028

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